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@Book{Aronson2006,
  Title                    = {Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals},
  Author                   = {David Aronson},
  Publisher                = {Wiley},
  Year                     = {2006},
  Month                    = {Nov},

  Author_sort              = {Aronson, David}
}

@Article{Bailey2014deSharpe,
  Title                    = {The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality},
  Author                   = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
  Journal                  = {Journal of Portfolio Management, Forthcoming},
  Year                     = {2014},

  Url                      = {http://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf}
}

@Article{Bailey2014drawdown,
  Title                    = {Drawdown-Based Stop-Outs and the 'Triple Penance' Rule},
  Author                   = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
  Journal                  = {Journal of Risk},
  Year                     = {forthcoming, 2014},

  Url                      = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2201302}
}

@Article{Bailey2014pm,
  Title                    = {Pseudomathematics and financial charlatanism: The effects of backtest {O}ver fitting on out-of-sample performance},
  Author                   = {Bailey, David H and Borwein, Jonathan M and {L{\'o}pez de Prado}, Marcos and Zhu, Qiji Jim},
  Journal                  = {Notices of the AMS},
  Year                     = {2014},
  Number                   = {5},
  Pages                    = {458--471},
  Volume                   = {61}
}

@Article{Bailey2014probability,
  Title                    = {The probability of backtest overfitting},
  Author                   = {Bailey, David H and Borwein, Jonathan M and L{\'o}pez de Prado, Marcos and Zhu, Qiji Jim},
  Year                     = {2014},

  Url                      = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253}
}

@Article{baquero2005,
  Title                    = {Survival, look-ahead bias, and persistence in hedge fund performance},
  Author                   = {Baquero, Guillermo and Ter Horst, Jenke and Verbeek, Marno},
  Journal                  = {Journal of Financial and Quantitative Analysis},
  Year                     = {2005},
  Number                   = {03},
  Pages                    = {493--517},
  Volume                   = {40},

  Publisher                = {Cambridge Univ Press},
  Url                      = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=371051}
}

@Article{Barnes2010,
  Title                    = {Publish your computer code: it is good enough},
  Author                   = {Barnes, Nick},
  Journal                  = {Nature},
  Year                     = {2010},
  Number                   = {7317},
  Pages                    = {753--753},
  Volume                   = {467},

  Owner                    = {brian},
  Publisher                = {Nature Publishing Group},
  Timestamp                = {2015.01.14},
  Url                      = {http://www.nature.com/news/2010/101013/full/467753a.html}
}

@Book{Box1987,
  Title                    = {Empirical model-building and response surfaces.},
  Author                   = {Box, George E.P. and Draper, Norman R.},
  Publisher                = {John Wiley \& Sons},
  Year                     = {1987}
}

@Article{Burns2006,
  Title                    = {Random Portfolios for Evaluating Trading Strategies},
  Author                   = {Burns, Patrick},
  Year                     = {2006},

  Url                      = {http://www.burns-stat.com/pages/Working/evalstrat.pdf}
}

@Book{Carroll2011,
  Title                    = {The skeptic's dictionary},
  Author                   = {Carroll, Robert},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2011},

  Subtitle                 = { a collection of strange beliefs, amusing deceptions, and dangerous delusions},
  Url                      = {http://skepdic.com/adhoc.html}
}

@Article{Cawley2010,
  Title                    = {On over-fitting in model selection and subsequent selection bias in performance evaluation},
  Author                   = {Cawley, Gavin C and Talbot, Nicola LC},
  Journal                  = {The Journal of Machine Learning Research},
  Year                     = {2010},
  Pages                    = {2079--2107},
  Volume                   = {11},

  Owner                    = {brian},
  Publisher                = {JMLR. org},
  Timestamp                = {2015.06.10},
  Url                      = {http://www.jmlr.org/papers/volume11/cawley10a/cawley10a.pdf}
}

@Article{Chang2015,
  author =        {Chang, Andrew C and Li, Phillip},
  title =         {Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say'Usually Not'},
  year =          {2015},
  __markedentry = {[brian:6]},
  publisher =     {FEDS Working Paper},
  url =           {https://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdf}
}

@Article{Diedesch2014,
  Title                    = {2014 Forty Under Forty},
  Author                   = {Diedesch, Josh},
  Journal                  = {Chief Investment Officer},
  Year                     = {2014},

  Publisher                = {California State Teachers\' Retirement System},
  Url                      = {http://www.ai-cio.com/Forty_Under_Forty_2014.aspx?page=9}
}

@Article{Economist2013,
  Title                    = {Unreliable Research: Trouble at the lab},
  Journal                  = {Economist},
  Year                     = {2013},

  Month                    = {Oct 19},

  Owner                    = {brian},
  Timestamp                = {2015.01.14},
  Url                      = {http://www.economist.com/news/briefing/21588057-scientists-think-science-self-correcting-alarming-degree-it-not-trouble}
}

@Book{Feynman1965,
  Title                    = {The Feynman Lectures on Physics},
  Author                   = {Feynman, Richard P and Leighton, Robert B and Sands, Matthew and Hafner, EM},
  Year                     = {1965},
  Volume                   = {1-3}
}

@Book{Fitschen2013,
  Title                    = {Building Reliable Trading Systems},
  Author                   = {Fitschen, Keith},
  Publisher                = {John Wiley \& Sons, Inc.},
  Year                     = {2013},

  Ssubtitle                = {Tradable Strategies That Perform as They Backtest and Meet Your Risk-Reward Goals}
}

@Misc{Fox2011,
  Title                    = {Multivariate Linear Models in R},

  Author                   = {Fox, John and Weisberg, Sanford},
  Year                     = {2011},

  Owner                    = {brian},
  Publisher                = {An Appendix to An R Companion to Applied Regression, Sage, Thousand Oaks, CA,},
  Timestamp                = {2015.01.13}
}

@Book{goldman1998practice,
  Title                    = {The practice of risk management},
  Author                   = {Litterman, Robert and Gumerlock, Robert },
  Publisher                = {Euromoney},
  Year                     = {1998},

  Authorsort               = {Litterman, Robert and Gumerlock, Robert},
  Ssubtitle                = {Implementing processes for managing firmwide market risk}
}

@Article{Hansen2005,
  Title                    = {A Test for Superior Predictive Ability},
  Author                   = {Hansen,Peter R.},
  Journal                  = {Journal of Business and Economic Statistics},
  Year                     = {2005}
}

@Article{Harvey2013backtesting,
  Title                    = {Backtesting},
  Author                   = {Harvey, Campbell R. and Liu, Yan},
  Journal                  = {SSRN},
  Year                     = {2013},

  Url                      = {http://ssrn.com/abstract=2345489}
}

@Article{Harvey2013multiple,
  Title                    = {Multiple Testing in Economics},
  Author                   = {Harvey, Campbell R. and Liu, Yan},
  Journal                  = {SSRN},
  Year                     = {2013},

  Url                      = {http://ssrn.com/abstract=2358214}
}

@Article{Harvey2014,
  Title                    = {Evaluating Trading Strategies},
  Author                   = {Harvey, Campbell R. and Liu, Yan},
  Journal                  = {Journal of Portfolio Management},
  Year                     = {2014},
  Number                   = {5},
  Pages                    = {108-118},
  Volume                   = {40},

  Comment                  = {preprint at http://ssrn.com/abstract=2474755},
  Url                      = {https://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P116_Evaluating_trading_strategies.pdf}
}

@Book{Hastie2009,
  Title                    = {The elements of statistical learning: Data mining, inference, and prediction. Second Edition},
  Author                   = {Hastie, Trevor and Tibshirani, Robert and Friedman, Jerome},
  Publisher                = {Springer},
  Year                     = {2009}
}

@Book{Horowitz2014,
  Title                    = {The Hard Thing about Hard Things},
  Author                   = {Horowitz, Ben},
  Publisher                = {HarperCollins},
  Year                     = {2014},

  Subtitle                 = {Building a Business when There are No Easy Answers}
}

@Book{Ilmanen2011,
  Title                    = {Expected returns: an investor's guide to harvesting market rewards},
  Author                   = {Ilmanen, Antti},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2011}
}

@Article{Ince2012,
  Title                    = {The case for open computer programs},
  Author                   = {Ince, Darrel C and Hatton, Leslie and Graham-Cumming, John},
  Journal                  = {Nature},
  Year                     = {2012},
  Number                   = {7386},
  Pages                    = {485--488},
  Volume                   = {482},

  Owner                    = {brian},
  Publisher                = {Nature Publishing Group},
  Timestamp                = {2015.01.14},
  Url                      = {http://www.nature.com/nature/journal/v482/n7386/pdf/nature10836.pdf}
}

@Article{Ioannidis2005,
  Title                    = {Why most published research findings are false},
  Author                   = {Ioannidis, John PA},
  Journal                  = {PLoS medicine},
  Year                     = {2005},
  Number                   = {8},
  Pages                    = {e124},
  Volume                   = {2},

  Owner                    = {brian},
  Publisher                = {Public Library of Science},
  Timestamp                = {2015.01.29},
  Url                      = {http://journals.plos.org/plosmedicine/article?id=10.1371/journal.pmed.0020124#s6}
}

@Book{Jones1999,
  Title                    = {The trading game},
  Author                   = {Jones, Ryan},
  Publisher                = {John Wiley \& Sons},
  Year                     = {1999},
  Owner                    = {brian},
  Ssubtitle                = {playing by the numbers to make millions},
  Timestamp                = {2015.08.13}
}

@Article{Kaastra1996,
  Title                    = {Designing a neural network for forecasting financial and economic time series},
  Author                   = {Kaastra, Iebeling and Boyd, Milton},
  Journal                  = {Neurocomputing},
  Year                     = {1996},
  Number                   = {3},
  Pages                    = {215--236},
  Volume                   = {10},

  Owner                    = {brian},
  Publisher                = {Elsevier},
  Timestamp                = {2015.05.19}
}

@Book{Kaufman2013,
  Title                    = {Trading systems and methods},
  Author                   = {Kaufman, Perry J},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2013},
  Edition                  = {Fifth ed.},

  Owner                    = {brian},
  Timestamp                = {2015.08.12}
}

@Article{Keogh2003,
  Title                    = {On the need for time series data mining benchmarks: a survey and empirical demonstration},
  Author                   = {Keogh, Eamonn and Kasetty, Shruti},
  Journal                  = {Data Mining and knowledge discovery},
  Year                     = {2003},
  Number                   = {4},
  Pages                    = {349--371},
  Volume                   = {7},

  Owner                    = {brian},
  Publisher                = {Springer},
  Timestamp                = {2015.06.10},
  Url                      = {http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.13.2240&rep=rep1&type=pdf}
}

@Article{Kerr1998,
  author =        {Kerr, Norbert L},
  title =         {HARKing: Hypothesizing after the results are known},
  journal =       {Personality and Social Psychology Review},
  year =          {1998},
  volume =        {2},
  number =        {3},
  pages =         {196--217},
  __markedentry = {[brian:]},
  file =          {:/home/brian/docs/Research/HARKing_ Hypothesizing_After_the_Results_are_Known_1998_Kerr.pdf:PDF},
  owner =         {brian},
  publisher =     {Sage Publications},
  timestamp =     {2016.02.25},
  url =           {http://psr.sagepub.com/content/2/3/196.abstract}
}

@Book{Kestner2003,
  Title                    = {Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
  Author                   = {Kestner, Lars},
  Publisher                = {McGraw-Hill},
  Year                     = {2003}
}

@Article{Kim2003,
  Title                    = {Financial time series forecasting using support vector machines},
  Author                   = {Kim, Kyoung-jae},
  Journal                  = {Neurocomputing},
  Year                     = {2003},
  Number                   = {1},
  Pages                    = {307--319},
  Volume                   = {55},

  Owner                    = {brian},
  Publisher                = {Elsevier},
  Timestamp                = {2015.05.19},
  Url                      = {http://www.cse.ust.hk/~leichen/courses/comp630p/collection/reference-1-23.pdf}
}

@Book{Kuhn2013,
  Title                    = {Applied predictive modeling},
  Author                   = {Kuhn, Max and Johnson, Kjell},
  Publisher                = {Springer},
  Year                     = {2013},

  Owner                    = {brian},
  Timestamp                = {2015.05.20},
  Url                      = {http://appliedpredictivemodeling.com/}
}

@Article{Levy2006,
  Title                    = {A systems approach to conduct an effective literature review in support of information systems research},
  Author                   = {Levy, Yair and Ellis, Timothy J},
  Journal                  = {Informing Science: International Journal of an Emerging Transdiscipline},
  Year                     = {2006},
  Number                   = {1},
  Pages                    = {181--212},
  Volume                   = {9},

  Owner                    = {brian},
  Publisher                = {Informing Science Institute},
  Timestamp                = {2015.01.13},
  Url                      = {http://inform.nu/Articles/Vol9/V9p181-212Levy99.pdf}
}

@Article{Markowitz1994,
  author =    {Markowitz, Harry M and Xu, Gan Lin},
  title =     {Data mining corrections},
  journal =   {The Journal of Portfolio Management},
  year =      {1994},
  volume =    {21},
  number =    {1},
  pages =     {60--69},
  owner =     {brian},
  publisher = {Institutional Investor Journals},
  timestamp = {2015.08.19}
}

@Misc{mistakes2011,
  Title                    = {Common ~~ misteaks ~~ mistakes in using statistics: Spotting and Avoiding Them - Data Snooping},

  Author                   = {Martha K. Smith},

  Accessed                 = {2014-09-23},
  Author_sort              = {Smith, Martha},
  Url                      = {https://www.ma.utexas.edu/users/mks/statmistakes/datasnooping.html}
}

@Article{Moonesinghe2007,
  Title                    = {Most published research findings are false, but a little replication goes a long way},
  Author                   = {Moonesinghe, Ramal and Khoury, Muin J and Janssens, A Cecile JW},
  Journal                  = {PLoS medicine},
  Year                     = {2007},
  Number                   = {2},
  Pages                    = {e28},
  Volume                   = {4},

  Owner                    = {brian},
  Publisher                = {Public Library of Science},
  Timestamp                = {2015.01.29},
  Url                      = {http://journals.plos.org/plosmedicine/article?id=info:doi/10.1371/journal.pmed.0040028}
}

@Book{Narang2013,
  Title                    = {Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading},
  Author                   = {Narang, Rishi K},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2013},

  Owner                    = {brian},
  Timestamp                = {2015.06.18}
}

@Book{Pardo2008,
  Title                    = {The evaluation and optimization of trading strategies},
  Author                   = {Robert Pardo},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2008},
  Edition                  = {Second ed.},
  Month                    = {Feb},

  Author_sort              = {Pardo, Robert}
}

@Manual{parma2014,
  Title                    = {parma: portfolio allocation and risk management applications.},
  Author                   = {Alexios Ghalanos and Bernhard Pfaff},
  Note                     = {R package version 1.5-1.},
  Year                     = {2014}
}

@Article{Peng2011,
  Title                    = {Reproducible research in computational science},
  Author                   = {Peng, Roger D},
  Journal                  = {Science (New York, Ny)},
  Year                     = {2011},
  Number                   = {6060},
  Pages                    = {1226},
  Volume                   = {334},

  Owner                    = {brian},
  Publisher                = {NIH Public Access},
  Timestamp                = {2015.01.14},
  Url                      = {http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3383002/}
}

@Manual{perfa2014,
  Title                    = {PerformanceAnalytics: Econometric tools for performance and risk analysis},
  Author                   = {Brian G. Peterson and Peter Carl},
  Year                     = {2015},

  Subtitle                 = {R package version 1.4.3541},
  Url                      = {http://CRAN.R-project.org/package=PerformanceAnalytics}
}

@TechReport{Peterson2015,
  Title                    = {Developing \& Backtesting Systematic Trading Strategies},
  Author                   = {Peterson, Brian G},
  Institution              = {DV Trading},
  Year                     = {2015},

  Url                      = {http://goo.gl/na4u5d}
}

@Manual{porta2014,
  Title                    = {PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios},
  Author                   = {Brian G. Peterson and Peter Carl and Ross Bennett and Kris Boudt},
  Year                     = {2015},

  Subtitle                 = {R package version 0.9.3581},
  Url                      = {http://r-forge.r-project.org/projects/returnanalytics/}
}

@Manual{quantstrat2014,
  Title                    = {quantstrat: Quantitative Strategy Model Framework},
  Author                   = {Brian G. Peterson and Joshua Ulrich and Jan Humme and Peter Carl },
  Year                     = {2015},

  Subtitle                 = {R package version 0.9.1667},
  Url                      = {http://r-forge.r-project.org/projects/blotter/}
}

@Manual{R2014,
  Title                    = {R: A Language and Environment for Statistical Computing},

  Address                  = {Vienna, Austria},
  Author                   = {{R Core Team}},
  Organization             = {R Foundation for Statistical Computing},
  Year                     = {2014},

  Url                      = {http://www.R-project.org/}
}

@Article{Racine2009,
  Title                    = {Data-driven model evaluation: a test for revealed performance},
  Author                   = {Racine, Jeffrey S and Parmeter, Christopher F},
  Journal                  = {Mac Master University},
  Year                     = {2009},

  Url                      = {https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=FEMES09&paper_id=152}
}

@Article{Ripley2004,
  Title                    = {Selecting amongst large classes of models},
  Author                   = {Ripley, Brian D},
  Journal                  = {Methods and models in statistics: In honor of Professor John Nelder, FRS},
  Year                     = {2004},
  Pages                    = {155--170}
}

@Misc{Rmarkdown,
  Title                    = {R Markdown — Dynamic Documents for R},

  Author                   = {Yihui Xie},
  Year                     = {2014},

  Owner                    = {brian},
  Timestamp                = {2015.01.13},
  Url                      = {http://rmarkdown.rstudio.com/}
}

@Article{Sullivan1999,
  Title                    = {Data snooping, technical trading rule performance, and the bootstrap},
  Author                   = {Sullivan, Ryan and Timmermann, Allan and White, Halbert},
  Journal                  = {The Journal of Finance},
  Year                     = {1999},
  Number                   = {5},
  Pages                    = {1647-1691},
  Volume                   = {54}
}

@InProceedings{Sweave2002,
  Title                    = {Sweave: Dynamic Generation of Statistical Reports Using Literate Data Analysis},
  Author                   = {Friedrich Leisch},
  Booktitle                = {Compstat 2002 --- Proceedings in Computational Statistics},
  Year                     = {2002},
  Editor                   = {Wolfgang H{\"a}rdle and Bernd R{\"o}nz},
  Note                     = {ISBN 3-7908-1517-9},
  Pages                    = {575--580},
  Publisher                = {Physica Verlag, Heidelberg},

  Url                      = {http://www.stat.uni-muenchen.de/~leisch/Sweave}
}

@Book{Tomasini2009,
  Title                    = {Trading Systems: A New Approach to System Development and Portfolio Optimisation },
  Author                   = {Emilio Tomasini and Urban Jaekle},
  Year                     = {2009},
  Month                    = {Dec},

  Author_sort              = {Tomasini, Emilio \& Jaekle, Urban},
  Title_sort               = {Trading Systems A New Approach to System Development and Portfolio Optimisation}
}

@Article{Tukey1962,
  Title                    = {The future of data analysis},
  Author                   = {Tukey, John W},
  Journal                  = {The Annals of Mathematical Statistics},
  Year                     = {1962},
  Pages                    = {1--67},

  Publisher                = {JSTOR},
  Url                      = {http://projecteuclid.org/euclid.aoms/1177704711}
}

@Book{Vince1992,
  Title                    = {The mathematics of money management},
  Author                   = {Vince, Ralph},
  Publisher                = {John Wiley \& Sons},
  Year                     = {1992},

  Owner                    = {brian},
  Ssubtitle                = {Risk Analysis Techniques for traders},
  Timestamp                = {2015.08.12}
}

@Book{Vince2009,
  Title                    = {The leverage space trading model},
  Author                   = {Vince, Ralph},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2009},

  Subtitle                 = {Reconciling portfolio management strategies and economic theory}
}

@Article{Vlaeminck2013,
  Title                    = {Research Data Management in Economic Journals},
  Author                   = {Sven Vlaeminck},
  Journal                  = {American Economic Review, Open Economics},
  Year                     = {2013},

  Owner                    = {brian},
  Timestamp                = {2015.01.14},
  Url                      = {http://openeconomics.net/resources/data-policies-of-economic-journals/}
}

@Book{Weissman2005,
  Title                    = {Mechanical trading systems},
  Author                   = {Weissman, Richard L},
  Publisher                = {John Wiley \& Sons},
  Year                     = {2005},

  Owner                    = {brian},
  Ssubtitle                = {Pairing trader psychology with technical analysis},
  Timestamp                = {2015.08.12}
}

@Misc{White2000,
  Title                    = {System and method for testing prediction models and/or entities},

  Author                   = {Halbert L. White},
  Month                    = jul # {~11},
  Note                     = {US Patent 6,088,676},
  Year                     = {2000},

  Authorsort               = {White, Halbert L.},
  Publisher                = {Google Patents},
  Url                      = {http://www.google.com/patents/US6088676}
}

